FINANCE DE MARCH FRANCK MORAUX PDF

Franck Moraux est professeur de finance à l’université de Rennes 1 et directeur délégué à la recherche de l’IGR-IAE de Rennes. Ses activités d’enseignement. Follow. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux. フォロー. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux.

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Franck Moraux – Google Scholar Citations

Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty J Fouilloux, F Moraux, JL Viviani Energy Policy 82, Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. I like re- considering seemingly “simple” questions related to real-life problems that are still open and challenging.

Their combined citations are counted only for the first article. The system can’t perform the operation now.

The best is when franfk have some optional features! Journal of risk management in financial institutions 4 2, Business risk targeting and rescheduling of distressed debt F Moraux, P Navatte Finance 28 2, My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions. Working paper still in progress or submitted.

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New citations to this author. My favorite financial securities are bonds and derivatives options, futures, CDS.

More seriously derivatives are very useful to model, understand, assess, design etc. How valuable is your VaR? The understanding of the uses, hedging strategies, valuation models and empirical properties of real data related to derivatives or bonds are key to capture the whole picture.

Articles Cited by Co-authors. I am used to explore real financial data at low and ultra- high mach. The following articles are merged in Scholar.

Finance De Marché by Franck Moraux | Book

Recherche en Gestion, Economica, Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as well as prices sampled at a 1-min frequency.

Tracking innovations in these topics is first of all just fun. Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, Moreover, the information content of Funance.

Publications in research monographs. Email address for updates. Verified email at univ-rennes1.

Articles 1—20 Show more. Journal of Computational Finance, Forthcoming Recherche en Gestion, EconomicaChap. An Independent Component Analysis”, in: Springer Finance, Springer Verlag Valuing callable convertible bonds: While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long.

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Common factors in international bond returns revisited: We emphasize the key role of information content which is the unexpected component of news or, for short, the re. Returns and volatility behave quite differently however. My profile My library Metrics Alerts. New articles related to this author’s research. We find that the gap between expected values and finally announced values matters for modeling returns and volatility.

The morayx power of the French market volatility index: New articles by this author. The information content is also found to be important for the Euro Bund Futures next price, while the pure news release effect is key for volatility. Quadratic term structure models: Finally we provide preliminary evidences that the timing of news should not be neglected and that one should take care about the negative or positive message conveyed by the information content.

Gestion des Risques dans un cadre international: SynthexPearson, p.